The Capital Asset Pricing Model (CAPM) does NOT state which of the following? (select one)

a. an investment's expected risk premium over the risk free rate is proportional to its beta

b. the expected return on an investment does not depend on its unsystematic diversifiable risk

c. an investment's expect rate of return depends only on the risk free rate, the expecyed return on the market, and the investment's marginal contribution to the risk of a well diversified portfolio

d. the expected rate of return on an investment is proportional to its beta